20160827 open community camp

  • Published on
    11-Apr-2017

  • View
    117

  • Download
    4

Transcript

  • Be A GambleR

    Chia-Chi@OpenCommunityCamp

    20160827

  • ... ...

    TW.R & MLDM Monday

  • TW.R & MLDM Monday 2012/09 ... 2012/10/15

    10 ... ...

    & ... ... ?

    http://slides.com/chia-chichang/tw-r-2#/1

  • ... ... ...

  • ... ... ...

    ...

    http://shop.oreilly.com/product/0636920018483.do

  • ... ...

  • Logo ! Logo

    ... !

  • ... TW.R & MLDM Monday

    ... ...

  • 11

    http://www.meetup.com/Taiwan-R/

    http://www.meetup.com/Taiwan-R/http://www.meetup.com/Taiwan-R/

  • ... RLadies ...

    Yen + 1 ()

  • 14

  • ... George@ ... ... ...

    https://www.youtube.com/watch?v=zXtW9fQdauQ

  • ... ... ... XD

    ... ... ...

  • ... ... Cover quantmod & quantstrat

  • ...

  • ...

  • ...

  • ...

  • ...

    pattern

  • ...

  • (Prediction)

    (Position Sizing)

  • (1) Versus (2) Versus

  • TraderBuy-Side / Sell-Side

    Trend Follower / Mean Reversionhigh p, low WLR / low p, High WLR

  • ......

  • Traders: Type I (Trend Follower)

    Type II (Mean Reversion)

  • Versus E = pW - (1-p)L - T > 0

  • Versus T = 0, WLR = W/L

    p > 1 / (1+WLR)

  • ...

  • coin tossing ...

  • ...

  • ...

  • ... P(H) = ? and P(T) = ?

    P(H| ?? ) = ? and P(T | ??) = ?

  • ... ""

    ( )

  • pattern

  • tidyr:: gather ->
  • ... ?

  • P(Xt | Xt-1)

  • P(Xt | Xt-k)

  • E = W*p - L*(1-p)

  • ... W =? L =?

  • Avoid OverfittingWalk Forward Analysis

  • Walk Forward Analysis

  • pattern Stopping Time

  • https://datasci-info.github.io/JihSunRBasic20160724/3_RViz_201608/example/lottery.htmlhttps://datasci-info.github.io/JihSunRBasic20160724/3_RViz_201608/example/lottery.html

  • ...

    pattern

  • P(DISTt | DISTt-1)

  • ... ...

    ETL & DataViz

    https://www.facebook.com/datasci.info/http://seminars.tca.org.tw/D15l00630.aspx

  • quantmod 101zoo / xts / TTR

  • Key Features in quantmod Time Series Object: zoo, xts Data Importers: getSymbols Technical Analysis: TTR Draw Candlestick Lines: chartSeries

  • quantstrat 101quantmod / blotter / FinancialInstrument /

    PerformanceAnalytics / foreach

    https://r-forge.r-project.org/R/?group_id=316

    https://r-forge.r-project.org/R/?group_id=316https://r-forge.r-project.org/R/?group_id=316

  • Key Features in quantstrat Strategy Construction Tools:

    Indicator Signal Rule

    Transaction-Oriented Trading Systems: [blotter] Portiforlio [blotter] Account [quantstrat] Order

  • ... ... R ...

    R.NET & MRO & MRS

    ( Win APIs)

  • https://rdotnet.codeplex.com/

  • ... microsoft-r-open-blas

    intel MKL (RevoMath in ArchLinux)

  • https://github.com/nuest/docker-mro

  • !c3h3.tw@gmail.com

  • ... Cluster ...

    PhillipZ Docker ...

    ... ... !

  • Docker Swarm Cluster Nvidia Docker Deep Learning ...

    https://mail.google.com/mail/u/0/#inbox/156c936f605173fd